Pain is a symptom of many disorders associated with actual or potential tissue damage in human body. Managing pain is not only a duty but also highly cost prone. The most primitive state of pain management is the assessment of pain. Traditionally it was accomplished by self-report or visual inspection by experts. However, automatic pain assessment systems from facial videos are also rapidly evolving due to the need of managing pain in a robust and cost effective way. Among different challenges of automatic pain assessment from facial video data two issues are increasingly prevalent: first, exploiting both spatial and temporal information of the face to assess pain level, and second, incorporating multiple visual modalities to capture complementary face information related to pain. Most works in the literature focus on merely exploiting spatial information on chromatic (RGB) video data on shallow learning scenarios. However, employing deep learning techniques for spatio-temporal analysis considering Depth (D) and Thermal (T) along with RGB has high potential in this area. In this paper, we present the first state-of-the-art publicly available database, 'Multimodal Intensity Pain (MIntPAIN)' database, for RGBDT pain level recognition in sequences. We provide a first baseline results including 5 pain levels recognition by analyzing independent visual modalities and their fusion with CNN and LSTM models. From the experimental evaluation we observe that fusion of modalities helps to enhance recognition performance of pain levels in comparison to isolated ones. In particular, the combination of RGB, D, and T in an early fusion fashion achieved the best recognition rate.